Although state police said they do not believe the three knew one another, State Police Sgt. Trent Smith told CNN on Thursday that investigators have received calls that Bair may have had some relationship to the two women.

The nature of that relationship, if there was one, wasn't immediately clear.

The women's names have not yet been released.

According to Smith, Bair arrived at the store around 9:30 p.m. Wednesday armed with a .40-caliber semiautomatic handgun and a large hunting knife. He walked around for more than 30 minutes before opening fire, Smith said.

About a dozen people were in the store at the time, Smith said.

According to police, he shot two women -- a 20-year-old shopper and a 44-year-old employee -- before police arrived to find him holding a store manager at gunpoint.

They managed to distract him, allowing the manager to run away. But Bair also escaped down a store aisle, resulting in a search through the store that lasted between 40 and 60 seconds before police confronted Bair, who then pointed his handgun at them, Smith said.

He declined to say if Bair opened fire on police before he was shot but said he appeared to be agitated.